If you are using OllyDbg 1.x, you could use the MSDN Help Plugin which simply looks up the requested API call on MSDN. It works for me on my Windows XP sp3 system with OllyDbg 1.x.
Of course, this requires internet connectivity.
Another incomplete option that may work is to obtain the Windows 7 SDK and be sure to install the "Documentation / Win32 and COM" sub feature.
Then copy all the *.HXS files from the SDK install folder. Then the only task left is to find a way to convert *.HXS files into a single *.HLP file....not sure if that's possible or not.
FWIW, the IDA Scope plugin (for IDA Pro) recommends this in their manual for integrating offline MSDN help. Except their instructions have the user extract the HXS files to a folder and point IDA Scope to it where IDA Scope knows how to read/parse the files extracted from the HXS files. The HXS files can be deleted after extracting.